A thesis statement should be both arguable and specific. To be arguable, the thesis has to state an opinion and defend it by using quotes from the story as evidence.
To determine an opinion about the story which you can defend, you first need to decide what the story means: what point is Gilman trying to make? This, of course, can be understood through the themes of the story.
It is often argued that Gilman's story is critiquing gender divisions in nineteenth-century society. One possible thesis statement could argue that it is wrong for a man (or men) to decide, on the basis of gender, that a woman should "naturally" be happy in the home and that the "cure" for her postpartum depression or "temporary nervous depression" should be the deprivation of all of her intellectual stimulation. This thesis could say something like the following: in "The Yellow Wallpaper," Gilman shows that, just like men, women need intellectual stimulation to stave off depression and that depriving them of intellectual stimulation leads to madness.
You would then need to find examples that show how terrible the woman's situation is and how her current situation is not helping her in any way.
Another theme of the story is that of freedom and autonomy. Does the narrator achieve freedom in her madness? She says she does—"I've got out at last"—but has she really? Obviously, she is still physically imprisoned, but has she liberated her soul through madness? If you argue against madness as a real liberation, your thesis would say something like the following: Gilman is critiquing a situation in which insanity is the only way a woman can achieve liberation from captivity.
You would then show that the narrator, despite what she thinks, is still in a terrible situation, as she is locked in a room that she crawls around in like an animal.
These are simply some suggestions. Whatever thesis you pick, be sure to back it up with examples and quotes from the story.